基金績效持續與聰明錢效果：臺灣實證

Performance Persistemce amd Smart Money Effect: Evidence from Taiwan

本文檢驗台灣共同基金的績效持續性、聰明錢效果，以及二者的交互關係。概念上，基金績效持續性捕捉基金經理人的選股能力，而聰明錢效果則反應基金投資人的選基金能力。過去文獻多只討論二者之一，本文則除了分別探討績效持續性與聰明錢效果外，並進一步探討兩者的交互關係。作法上，本文利用前期基金績效（前期基金流量）分出的贏家與輸家組合，再以前期基金流量（前期基金績效）再次形成投資組合。本研究的主要研究發現如下。一，台灣共同基金績效持續性以及聰明錢效果確實存在；二，二次分組的確能捕捉額外的資訊，所篩選出來的資訊主要是從贏家中再找出贏家基金；三，基金流量比基金績效更能預測未來基金報酬；四，基金流量所篩選出來的贏家通常為小型基金。

This paper examines the persistence in mutual fund performance which captures the stock selection ability of managers, the smart money effect which captures the fund selection ability of investors and the interaction in Taiwan. Prior studies of mutual funds generally focus on either the persistence in fund performance or the smart money effect. We examine them at the same time, and further document the interaction between the fund performance and past fund flow. We conduct pairwise nested comparisons of profits from past fund performance and past fund flow. We first sort funds independently into winners and losers by past fund performance (past fund flow), then each of two groups is further subdivided using past fund flow (past fund performance) to form the net zero investment portfolios to examine the performance and smart money effect Our results can be summarized as follows. First, we use the fund performance and the fund flow to form investment strategies we find these strategies can earn abnormal return. Our results show the persistence in fund performance and the existence of smart money effect. Second, comparing to the strategies only use fund flow or performance to form, the pairwise nested strategies can capture the extra information. Third, extremes of the distribution of the past fund flow are better than past fund performance at predicting future returns. It means investors can learn about fund manager’s ability from their past performance to construct the better investments. Finally, the most of winner funds picked out by past fund flow are small size funds, and these winner funds’ buy and sell turnover are smaller and ages are older.